HEC Research Papers Series,
HEC Paris

Abstract: This paper finds that the market betas of value and small stocks have decreased by about 75% in the second half of the twentieth century. The decline in beta can be related to a long-term improvement in economic conditions that made these companies less risky.

Keywords: value; stocks; beta; risk; financial market

JEL-codes: D40; G10

60 pages, January 9, 2006

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